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Configuration#

The backtest has a lot of configurable parameters, which are all defined in the config file config.json. The standard config.json looks like this: 

{
  "exchange": "binance",
  "timeframe": "5m",
  "max-open-trades": 3,
  "starting-capital": 1000,
  "backtesting-from": "2021-03-11",
  "backtesting-to": "2021-03-15",
  "backtesting-till-now": false,
  "stoploss-type": "standard",
  "stoploss": -10,
  "roi": {
    "0": 5,
    "60": 4,
    "120": 3
  },
  "pairs": ["BTC/USDT", "LTC/USDT", "ETH/USDT"],
  "currency": "USDT",
  "fee": 0.25,
  "strategy-name": "MyStrategy",
  "strategies-folder": "strategies",
  "plots": true,
  "mainplot_indicators": ["ema5", "ema21"],
  "subplot_indicators": ["volume"]
}
To change something in the configuration, just simply modify the value on the right (after "[PARAMETER]":).

Parameters#

Exchange#

The exchange that is used to retrieve OHLCV data from. Currently, we only support the "binance" exchange.

Timeframe#

Timeframe that is used to populate the indicators and buy/sell signals. A timeframe can be defined by either using minutes m, hours h or days d. We recommend using one of the following timeframes: 1m, 5m, 15m, 30m or 1h.

Max. open trades#

The maximum amount of trades that can be open simultaneously. The engine is designed such that it can only have a maximum of one open trade per pair, which means that within all open trades there can never be a duplicate pair. Because of this restriction buy signals can be rejected, since it could be the case that the pair you want to open a new trade for has already an open trade.

The max-open-trades is used to calculate the stake amount for a certain trade. The standard way of calculating the stake amount is by: 

stake-amount = (1 / max-open-trades) * realised-profit

But when calculating the stake amount we also have to factor in the amount of trading pairs, since this can influence the way that the stake amount is determined. We explain the relation between the max. open trades and amount of trading pairs in the following three scenarios:

  1. Max. open trades > amount of trading pairs: because we can never reach the max open trades (not enough trading pairs), the value for max. open trades will be set equal to the amount of trading pairs.

  2. Max. open trades < amount of trading pairs: when this occurs certain buy signals can be rejected. Above we described that the engine can not open multiple trades on the same pair. In this scenario it can also happen that a pair that does not have an open trade, wants to open a trade (due to a buy signal) but gets rejected. This happens when max. open trades is reached, because then all new buy signals are rejected.

  3. Max. open trades == amount of trading pairs: nothing changes.

Starting capital#

The amount of capital that the bot is able to use for trading.

Backtesting period#

The specified period where the bot will be analysed on. Here, backtesting-from will indicate the starting point and backtesting-to will indicate the ending point of the backtesting period. Both timestamps are defined in the config.json as YYYY-MM-DD.

If you want to test the bot until your current date, you can enable the boolean backtesting-till-now by setting its value to true. It will then backtest from the defined backtesting-from until your current point in time (specific to the minute).

Stoploss#

When using a stoploss you can use three different types, which can be altered by changing the value for stoploss-type: 1. "standard": this stoploss type is activated by default and prevents the bot from dealing with great losses. When this stoploss is selected a trade will close automatically when the profit percentage for that trade is equal to or drops below the configured stoploss.

  1. "trailing": this stoploss type enables a trailing stoploss. When using this stoploss type a stoploss value 'SL' is calculated at every candle. This SL will indicate the 'sell price' at which a trade needs to be closed. If the traded pair (e.g. BTC/USDT) is equal or drops below this price, the corresponding trade will be closed. SL is calculated at every candle by: SL = candle-high * (1 - trailing-percentage).
  2. candle-high is the highest price seen in that specific candle.
  3. trailing-percentage is the stoploss percentage defined by stoplossin the config.json.

The algorithm used for trailing stoploss is defined as follows: 1. TSL is defined as the SL of first candle 2. Get SL of next candle 3. If SL for next candle is HIGHER than TSL: - TSL = next candle SL - back to Step 2. 4. If SL for next candle is LOWER than TSL: - back to Step 2.

  1. "dynamic": stoploss type which can be defined in the strategy class. See my_strategy_advanced.py for an example on how this stoploss needs to be defined. The basic use is that for each candle a stoploss price needs to be defined and if the candle-low (lowest seen price in that specific candle) is equal or drops below the defined stoploss price, that trade will be closed.

    Note: if stoploss-type is set to "dynamic" but the stoploss function in the strategy class is either undefined or defined wrong, the stoploss-type will be automatically changed to "standard" and will use the stoploss percentage from the config.json.

ROI#

Defines the Return On Investment (roi) sell signals. See the Termsheet for more information. ROI is used to close a trade when a certain ROI is reached. In addition, you can also specify after how many minutes the trade should be closed. In the config.json the standard configuration is: 

"roi": {
    "0": 5,
    "60": 4,
    "120": 3
  }
This configuration can be interpreted as: - When ROI is equal to 5%, close the trade immediately. - When ROI is equal to 4%, close the trade after 60 minutes. - When ROI is equal to 3%, close the trade after 120 minutes.

Trading pairs#

Specifies which pairs you want the bot to trade. Make sure that when specifying the list of pairs that the base for each pair needs to be the same and equal to the defined currency.

Fee#

Defines the fee percentage. This percentage will be applied on every trade entry and exit.

Strategy#

Specifies which strategy to backtest. Make sure the strategy-name is equal to the name of the strategy class (not the name of the .py file). Furthermore, make sure the .py file that contains the strategy class is saved in the strategies-folder.

Plots#

After each backtest there is the possibility to see a plot of the change in price, buy/sell signals (both executed and not executed) and indicators. This function is automatically enabled and can be disabled by settings the plots boolean to false. The indicators in the plots can be configured by changing the value for either mainplot_indicators and/or subplot_indicators. Make sure when adding new indicators to the list of plot-indicators, that these indicators are populated in the strategy.

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